Scenarios

Scenarios shock quotes before bootstrapping, so every curve, surface and simulation that depends on them is rebuilt consistently. Source: src/quotes/scenario.rs, src/core/pricingcontext.rs.

Scenario

pub enum ScenarioType { Absolute, Relative }

pub struct Scenario { target: String, shock: f64, scenario_type: ScenarioType }

impl Scenario {
    pub fn new(target: impl Into<String>, shock: f64, scenario_type: ScenarioType) -> Self;
    pub fn matches(&self, identifier: &str) -> bool;
    pub fn shocked_value(&self, value: f64) -> f64;      // Absolute: v + shock; Relative: v · (1 + shock)
    pub fn apply(&self, store: &mut QuoteStore) -> Result<usize>;  // number of quotes shocked; error if none
}

Matching splits both strings on _ and requires every segment of target to appear among the identifier’s segments:

Both bid and ask are shocked.

Using with PricingContext

let mut ctx = PricingContext::new()
    .with_quote_store(quotes)
    .with_curve_configurations(curve_specs)
    .with_scenarios(vec![
        Scenario::new("OIS_USD_SOFR", 0.0001, ScenarioType::Absolute),      // +1bp parallel SOFR
        Scenario::new("CapletFloorlet_USD_SOFR", 0.10, ScenarioType::Relative), // vols ×1.10
    ]);
ctx.initialize()?;

On initialize() the context clones the base store, applies the scenarios in order, and stores the result as the shocked store. ctx.quote_store() returns the shocked store when scenarios exist (otherwise the base), and ctx.base_quote_store() always returns the unshocked quotes. Curves, volatility surfaces and simulations are all bootstrapped from quote_store().

Patterns

• Parallel shift: one scenario with a partial target, e.g. "OIS_USD_SOFR".
• Key-rate ladder: build one context per pillar target (OIS_USD_SOFR_1Y, _2Y, …) and difference the NPVs — useful to validate the AD ladder from Sensitivities.
• Stress: combine several scenarios (rates, vols, cross-currency basis) in one list; each is applied sequentially to the same store.
• Relative FX moves: target the FX spot quote (FxSpot_USDCLP-style identifiers) with ScenarioType::Relative.

Because scenarios act on quotes, all downstream consistency (multi-curve links, collateral curves, calibrated model vols) is preserved automatically, unlike bumping a curve node in isolation.